PERILAKU AKTIVITAS PERDAGANGAN INTRAHARI DI BURSA EFEK JAKARTA

Abstract

The primary objective of this study is to investigate the pattern of intraday trading
within industrial sector which are listed in LQ45 and the domination of
telecommuniaction sector in trading activities at the Jakarta Stock Exchange. An
examination on the behavior of intraday stock trading activities at the Jakarta Stock
Exchange in the period between 2002 and 2003 is accomplished in this study. Trading
activities used in this study were volatility of return, volatility of stock price, volume of
trading (based on transactions), spread, relative spread, depth, and relative depth
(based on order). Approximately 8 millions trading activities were particized into time
interval of 30 minutes. Regression analysis with dummy variable for independent
variable was applied. Results of the study showed that there were high means of
trading activities both at the beginning and the end of trading. This finding is in
accordance with a number of theories and results of several empirical studies which
indicate that trading behaviors in each capital market are varied. In addition, it was
also indicated that trading activities at the Jakarta Stock Exchange, rather than by
telecommunication sector, were dominated by financial sector.